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A class of models satisfying a dynamical version of the CAPM

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  • Elyès Jouini

    ()
    (CEREMADE - CEntre de REcherches en MAthématiques de la DEcision - CNRS : UMR7534 - Université Paris Dauphine - Paris IX)

  • Clotilde Napp

    (DRM - Dauphine Recherches en Management - CNRS : UMR7088 - Université Paris Dauphine - Paris IX)

Abstract

Under a comonotonicity assumption between aggregate dividends and the market portfolio, the CCAPM formula becomes more tractable and more easily testable. In this paper, we provide theoretical justifications for such an assumption.

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File URL: http://halshs.archives-ouvertes.fr/docs/00/16/71/59/PDF/34-EcoLettFinal_Napp_A_class_of_models_Satisfying_a_Dynamical_Version_of_CAPM.pdf
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Bibliographic Info

Paper provided by HAL in its series Post-Print with number halshs-00167159.

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Date of creation: 2003
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Publication status: Published, Economic Letters, 2003, 299-304
Handle: RePEc:hal:journl:halshs-00167159

Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00167159/en/
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Related research

Keywords: CAPM; CCAPM; market beta; equilibrium; financial markets;

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References

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  1. Ait-Sahalia, Yacine & Lo, Andrew W., 2000. "Nonparametric risk management and implied risk aversion," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 9-51.
  2. Douglas T. Breeden & Michael R Gibbons & Robert H. Litzenberger, . "Empirical Tests of the Consumption-Oriented CAPM," Rodney L. White Center for Financial Research Working Papers 07-89, Wharton School Rodney L. White Center for Financial Research.
  3. Mankiw, N Gregory & Shapiro, Matthew D, 1986. "Risk and Return: Consumption Beta versus Market Beta," The Review of Economics and Statistics, MIT Press, vol. 68(3), pages 452-59, August.
  4. Merton, Robert C., 1971. "Optimum consumption and portfolio rules in a continuous-time model," Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December.
  5. Breeden, Douglas T & Gibbons, Michael R & Litzenberger, Robert H, 1989. " Empirical Tests of the Consumption-Oriented CAPM," Journal of Finance, American Finance Association, vol. 44(2), pages 231-62, June.
  6. Douglas T. Breeden & Michael R Gibbons & Robert H. Litzenberger, . "Empirical Tests of the Consumption-Oriented CAPM," Rodney L. White Center for Financial Research Working Papers 7-89, Wharton School Rodney L. White Center for Financial Research.
  7. Huang, Chi-fu, 1987. "An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information," Econometrica, Econometric Society, vol. 55(1), pages 117-42, January.
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Cited by:
  1. Jouini, Elyès & Chazal, Marie, 2008. "Equilibrium Pricing Bound on Option Prices," Economics Papers from University Paris Dauphine 123456789/30, Paris Dauphine University.

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